考虑交易费用和泊松过程的沪深300股指期权定价研究

HS300 stock index option pricing with transaction costs and Poisson process

对于沪深300股指期权的仿真模拟交易,考虑交易费用,考虑收盘价格异常波动下的泊松过程,搜集并整理最新的沪深300股指高频仿真交易数据,分别利用B-S定价模型和推广的B-S定价模型来模拟,利用解析式法和二叉树、三叉树法计算出股指期权价格,并比较其与真实市场价格的差异性,得出推广的B-S定价模型结果更优,为沪深300股指期权的定价提供一定的理论依据.

For HS300 stock index option＇s simulation trading,considering transaction costs and Poisson process under closing price＇s abnormal fluctuation,collecting and organizing the latest high-frequency emulational traded data of HS300 stock index,using B-S pricing model and generalized B-S pricing model to simulate,we calculated the stock index option＇s prices by using analytical solution,binomial tree and triple tree methods,and the difference with the real market price was compared. The conclusion shows that generalized BS pricing model is more superior,which can provide certain theoretical basis for the pricing of HS300 stock index option.